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Snap Inc. SNAP

i

Market dataready · fetched 2026-11-06T14:45:11.448Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-06T14:45:08.061559276Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-06T14:45:09.550027+00:00

Share price$5.02
1D-1.1%
$4.97$5.00$5.04$5.07$5.115:30 AM6:30 AM9:00 AM1:00 PMSNAP
Sold putSold call

Snap Inc. options

Live interpolated SNAP call and put midpoint premiums by absolute delta.Snap Inc.$0.05$0.14$0.23$0.32$0.41$3.77$4.39$5.01$5.63$6.2420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive SNAP spot · $5.02SNAP PRICE$0.06$0.08$0.11$0.14$0.16$0.19$0.22$0.07$0.10$0.12$0.15$0.17$0.20$0.24$0.29$0.34$0.39
Puts——
Calls——
Skew——
Implied moveBearish±$0.46
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ5.6184.1%13.0%4.5880.1%10.1%
25Δ5.4783.4%10.7%4.6679.8%9.1%
30Δ5.3983.2%9.6%4.7479.4%8.0%
35Δ5.3183.0%8.5%4.8279.1%6.9%
40Δ5.2382.9%7.4%4.9078.8%5.8%
45Δ5.1582.7%6.3%4.9878.4%4.7%
50Δ5.0682.5%5.2%5.0677.8%4.1%
55Δ5.1377.0%3.6%
60Δ5.2176.3%3.1%
65Δ5.2875.5%2.5%
70Δ
75Δ
80Δ

20Δ

Calls
Pseudo strike
5.61
IV
84.1%
B/E move
13.0%
Puts
Pseudo strike
4.58
IV
80.1%
B/E move
10.1%

25Δ

Calls
Pseudo strike
5.47
IV
83.4%
B/E move
10.7%
Puts
Pseudo strike
4.66
IV
79.8%
B/E move
9.1%

30Δ

Calls
Pseudo strike
5.39
IV
83.2%
B/E move
9.6%
Puts
Pseudo strike
4.74
IV
79.4%
B/E move
8.0%

35Δ

Calls
Pseudo strike
5.31
IV
83.0%
B/E move
8.5%
Puts
Pseudo strike
4.82
IV
79.1%
B/E move
6.9%

40Δ

Calls
Pseudo strike
5.23
IV
82.9%
B/E move
7.4%
Puts
Pseudo strike
4.90
IV
78.8%
B/E move
5.8%

45Δ

Calls
Pseudo strike
5.15
IV
82.7%
B/E move
6.3%
Puts
Pseudo strike
4.98
IV
78.4%
B/E move
4.7%

50Δ

Calls
Pseudo strike
5.06
IV
82.5%
B/E move
5.2%
Puts
Pseudo strike
5.06
IV
77.8%
B/E move
4.1%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.13
IV
77.0%
B/E move
3.6%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.21
IV
76.3%
B/E move
3.1%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.28
IV
75.5%
B/E move
2.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend109.35%
Daily close
SNAP36.7%120.8%204.8%2026-08-11: 63.53%2026-08-14: 48.34%2026-08-24: 102.85%2026-08-25: 66.70%2026-08-28: 133.98%2026-09-04: 53.78%2026-09-11: 71.06%2026-09-14: 58.80%2026-09-15: 64.69%2026-09-16: 193.24%2026-09-18: 52.77%2026-10-02: 94.30%2026-10-05: 80.48%2026-10-09: 57.85%2026-10-12: 82.45%2026-10-13: 73.34%2026-10-16: 77.97%2026-10-19: 83.09%2026-10-20: 108.38%2026-10-23: 88.76%2026-10-26: 91.55%2026-10-27: 127.89%2026-10-28: 147.03%2026-10-30: 109.35%Aug 11Oct 2Oct 30
24 observations2026-08-11 — 2026-10-30
Table
DateIV (%)
63.53%
48.34%
102.85%
66.70%
133.98%
53.78%
71.06%
58.80%
64.69%
193.24%
52.77%
94.30%
80.48%
57.85%
82.45%
73.34%
77.97%
83.09%
108.38%
88.76%
91.55%
127.89%
147.03%
109.35%